feat(framework_v2): 实现通用配置系统，支持扁平化资产池和策略分组
- 使用 Pydantic Schema 验证配置类型安全 - 实现扁平化 AssetPool，移除预设分类（equity/commodity/fixed_income） - 移除 MarketType 枚举，改用 group 字符串字段实现策略分组 - AssetConfig 引入 signal_source/trade_source 分离，支持跨市场场景 - ConfigLoader 支持通用 StrategyConfig，向后兼容 RotationStrategyConfig - 新增 GroupConfig 替代 MarketGroupConfig，支持分散化选股 重构核心： - market → group（策略分组语义，组内竞争强制分散） - by_market → by_group - MarketGroupConfig → GroupConfig
This commit is contained in:
72
framework_v2/config/__init__.py
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72
framework_v2/config/__init__.py
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@@ -0,0 +1,72 @@
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"""
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配置模块
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提供配置加载、验证、管理功能
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"""
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from framework_v2.config.schemas import (
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# 完整配置
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RotationStrategyConfig,
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StrategyConfig, # 通用配置
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# 子配置
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AssetPool,
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AssetConfig,
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PremiumConfig,
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GroupConfig,
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FactorConfig,
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RotationConfig,
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ThresholdConfig,
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DynamicThresholdConfig,
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RebalanceConfig,
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PremiumControlConfig,
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DataConfig,
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DataSourceConfig,
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BenchmarkConfig,
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BacktestConfig,
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MetadataConfig,
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# 枚举（已移除 MarketType，改用字符串 group）
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FactorType,
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PremiumMode,
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ThresholdMode,
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DataSourceType,
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)
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from framework_v2.config.loader import (
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ConfigLoader,
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get_config_loader,
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load_config,
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)
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__all__ = [
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# 配置 Schema
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'RotationStrategyConfig',
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'StrategyConfig',
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'AssetPool',
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'AssetConfig',
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'PremiumConfig',
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'GroupConfig',
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'FactorConfig',
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'RotationConfig',
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'ThresholdConfig',
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'DynamicThresholdConfig',
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'RebalanceConfig',
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'PremiumControlConfig',
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'DataConfig',
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'DataSourceConfig',
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'BenchmarkConfig',
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'BacktestConfig',
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'MetadataConfig',
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# 枚举（已移除 MarketType，改用字符串 group）
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'FactorType',
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'PremiumMode',
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'ThresholdMode',
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'DataSourceType',
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# 加载器
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'ConfigLoader',
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'get_config_loader',
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'load_config',
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]
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247
framework_v2/config/loader.py
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247
framework_v2/config/loader.py
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"""
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配置加载器
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支持：
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1. YAML 配置文件加载
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2. Pydantic Schema 验证
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3. 环境变量替换
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4. 配置合并（默认值 + 用户配置）
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"""
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import os
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import re
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import yaml
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from pathlib import Path
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from typing import Optional, Dict, Any
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from framework_v2.config.schemas import StrategyConfig, RotationStrategyConfig
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class ConfigLoader:
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"""
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配置加载器
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用法:
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loader = ConfigLoader()
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config = loader.load('config/rotation.yaml')
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"""
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def __init__(self, config_dir: str = None):
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"""
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初始化
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Args:
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config_dir: 配置目录（默认 framework_v2/config）
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"""
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if config_dir is None:
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# 默认配置目录
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config_dir = Path(__file__).parent
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self.config_dir = Path(config_dir)
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def load(self, config_file: str, config_type: str = 'strategy') -> StrategyConfig:
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"""
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加载配置文件
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Args:
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config_file: 配置文件路径（相对路径或绝对路径）
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config_type: 配置类型（'strategy' 或 'rotation'）
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Returns:
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验证后的配置对象
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示例:
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>>> loader = ConfigLoader()
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>>> config = loader.load('rotation_example.yaml')
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>>> print(config.factor.n_days)
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25
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"""
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# 1. 解析文件路径
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config_path = self._resolve_path(config_file)
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# 2. 读取 YAML
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with open(config_path, 'r', encoding='utf-8') as f:
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config_dict = yaml.safe_load(f)
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# 3. 环境变量替换
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config_dict = self._substitute_env_vars(config_dict)
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# 4. Pydantic 验证（根据类型选择 Schema）
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if config_type == 'rotation':
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# 兼容旧版本：轮动策略专用配置
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config = RotationStrategyConfig(**config_dict)
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else:
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# 通用策略配置（推荐）
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config = StrategyConfig(**config_dict)
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return config
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def load_dict(self, config_dict: Dict[str, Any], config_type: str = 'strategy') -> StrategyConfig:
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"""
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从字典加载配置
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Args:
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config_dict: 配置字典
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config_type: 配置类型（'strategy' 或 'rotation'）
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Returns:
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验证后的配置对象
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"""
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# 环境变量替换
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config_dict = self._substitute_env_vars(config_dict)
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# Pydantic 验证（根据类型选择 Schema）
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if config_type == 'rotation':
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config = RotationStrategyConfig(**config_dict)
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else:
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config = StrategyConfig(**config_dict)
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return config
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def _resolve_path(self, config_file: str) -> Path:
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"""
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解析配置文件路径
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Args:
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config_file: 配置文件路径
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Returns:
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绝对路径
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"""
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path = Path(config_file)
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# 如果是绝对路径，直接返回
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if path.is_absolute():
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if not path.exists():
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raise FileNotFoundError(f"配置文件不存在: {path}")
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return path
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# 相对路径：先在配置目录查找
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config_path = self.config_dir / path
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if config_path.exists():
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return config_path
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# 然后在当前工作目录查找
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cwd_path = Path.cwd() / path
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if cwd_path.exists():
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return cwd_path
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raise FileNotFoundError(
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f"配置文件未找到: {path}\n"
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f"搜索路径:\n"
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f" - {config_path}\n"
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f" - {cwd_path}"
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)
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def _substitute_env_vars(self, config: Any) -> Any:
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"""
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替换配置中的环境变量
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支持格式：
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- ${VAR_NAME}
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- ${VAR_NAME:default_value}
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Args:
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config: 配置对象（dict/list/str）
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Returns:
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替换后的配置
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"""
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if isinstance(config, dict):
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return {
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key: self._substitute_env_vars(value)
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for key, value in config.items()
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}
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elif isinstance(config, list):
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return [
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self._substitute_env_vars(item)
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for item in config
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]
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elif isinstance(config, str):
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# 匹配 ${VAR_NAME} 或 ${VAR_NAME:default}
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pattern = r'\$\{([^}]+)\}'
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def replace_match(match):
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var_expr = match.group(1)
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# 检查是否有默认值
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if ':' in var_expr:
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var_name, default = var_expr.split(':', 1)
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else:
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var_name = var_expr
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default = None
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# 从环境变量读取
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value = os.getenv(var_name)
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if value is None:
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if default is not None:
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return default
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else:
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raise ValueError(
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f"环境变量未设置: {var_name}\n"
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f"请设置环境变量或在配置中使用默认值: ${{{var_name}:default_value}}"
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)
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return value
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return re.sub(pattern, replace_match, config)
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else:
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return config
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def get_available_configs(self) -> list:
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"""
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获取可用的配置文件列表
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Returns:
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配置文件名列表
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"""
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if not self.config_dir.exists():
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return []
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return [
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f.name
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for f in self.config_dir.glob('*.yaml')
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if f.is_file()
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]
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# 全局实例
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_config_loader: Optional[ConfigLoader] = None
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def get_config_loader(config_dir: str = None) -> ConfigLoader:
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"""
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获取配置加载器单例
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Args:
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config_dir: 配置目录
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Returns:
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ConfigLoader 实例
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"""
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global _config_loader
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if _config_loader is None:
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_config_loader = ConfigLoader(config_dir)
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return _config_loader
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def load_config(config_file: str, config_type: str = 'strategy') -> StrategyConfig:
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"""
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快捷函数：加载配置文件
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Args:
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config_file: 配置文件路径
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config_type: 配置类型（'strategy' 或 'rotation'）
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Returns:
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验证后的配置对象
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示例:
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>>> from framework_v2.config import load_config
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>>> config = load_config('rotation_example.yaml')
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"""
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loader = get_config_loader()
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return loader.load(config_file, config_type=config_type)
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444
framework_v2/config/schemas.py
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444
framework_v2/config/schemas.py
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@@ -0,0 +1,444 @@
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"""
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配置 Schema 定义
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使用 Pydantic 验证配置文件的类型安全
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"""
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from pydantic import BaseModel, Field, field_validator, model_validator
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from typing import Optional, Dict, List, Literal
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from enum import Enum
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from datetime import date
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# ============================================================
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# 枚举类型
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# ============================================================
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# 注意：不再使用 MarketType 枚举，改用字符串类型的 group 字段
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# group 字段用于策略分组（组内竞争，强制分散）
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class FactorType(str, Enum):
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"""因子类型枚举"""
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MOMENTUM = "momentum"
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SLOPE_R2 = "slope_r2"
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WEIGHTED_MOMENTUM = "weighted_momentum"
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class PremiumMode(str, Enum):
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"""溢价控制模式"""
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FILTER = "filter" # 完全排除
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PENALIZE = "penalize" # 降权
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class ThresholdMode(str, Enum):
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"""阈值模式"""
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FIXED = "fixed" # 固定阈值
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DYNAMIC = "dynamic" # 动态阈值
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class DataSourceType(str, Enum):
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"""数据源类型"""
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FLASK_API = "flask_api"
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TUSHARE = "tushare"
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YFINANCE = "yfinance"
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# ============================================================
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# 资产池 Schema（扁平化设计）
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# ============================================================
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class PremiumConfig(BaseModel):
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"""溢价控制配置"""
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enabled: bool = Field(default=True, description="是否启用")
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threshold: float = Field(default=0.10, ge=0, le=1.0, description="溢价阈值")
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class AssetConfig(BaseModel):
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"""
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标的配置（通用，支持所有场景）
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场景 1：指数信号 → 指数收益
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signal_source: "NDX"
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trade_source: "NDX"
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场景 2：指数信号 → ETF收益
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signal_source: "NDX"
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trade_source: "513100.SH"
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场景 3：ETF信号 → ETF收益
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signal_source: "518880.SH"
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trade_source: "518880.SH"
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场景 4：个股信号 → 个股收益
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signal_source: "AAPL"
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trade_source: "AAPL"
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"""
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name: str = Field(..., description="标的名称")
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group: str = Field(..., description="策略分组（组内竞争，强制分散）")
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# 核心字段：信号来源和交易来源
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signal_source: str = Field(..., description="信号来源代码（计算因子用）")
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trade_source: str = Field(..., description="交易来源代码（计算收益用）")
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# 可选字段
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description: Optional[str] = Field(None, description="标的描述")
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etf: Optional[str] = Field(None, description="ETF代码（兼容旧配置）")
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premium_control: Optional["PremiumConfig"] = Field(None, description="溢价控制配置")
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@property
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def is_cross_market(self) -> bool:
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"""是否跨市场（信号和交易不同）"""
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return self.signal_source != self.trade_source
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class AssetPool(BaseModel):
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"""
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资产池（扁平化设计）
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优势：
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1. 不预设分类，支持任意策略分组
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2. 通过 group 字段自动分组
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3. 配置简单直观
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4. 易于扩展新分组
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示例:
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asset_pool:
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assets:
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"NDX":
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name: "纳指100"
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group: "US_TECH"
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signal_source: "NDX"
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trade_source: "513100.SH"
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"BTC":
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name: "比特币"
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group: "CRYPTO"
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signal_source: "BTC"
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trade_source: "BTC"
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"""
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assets: Dict[str, AssetConfig] = Field(
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default_factory=dict,
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description="所有标的（flat结构）"
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)
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@property
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def by_group(self) -> Dict[str, Dict[str, AssetConfig]]:
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"""按策略分组"""
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groups = {}
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for code, asset in self.assets.items():
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group = asset.group
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if group not in groups:
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groups[group] = {}
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groups[group][code] = asset
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return groups
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@property
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def groups(self) -> list:
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"""获取所有策略分组"""
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return list(self.by_group.keys())
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def get_signal_codes(self, group: str = None) -> list:
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"""
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获取信号标的
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Args:
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group: 可选，过滤特定分组（如 'US_TECH'）
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"""
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if group:
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return [
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asset.signal_source
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for asset in self.assets.values()
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if asset.group == group
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]
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return [asset.signal_source for asset in self.assets.values()]
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def get_trade_codes(self, group: str = None) -> list:
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"""获取交易标的"""
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if group:
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return [
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asset.trade_source
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for asset in self.assets.values()
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if asset.group == group
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]
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return [asset.trade_source for asset in self.assets.values()]
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def get_signal_to_trade_mapping(self, group: str = None) -> Dict[str, str]:
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"""获取信号→交易映射"""
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mapping = {}
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for asset in self.assets.values():
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if group and asset.group != group:
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continue
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mapping[asset.signal_source] = asset.trade_source
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return mapping
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def count(self, group: str = None) -> int:
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"""获取标的数量"""
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if group:
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return len([a for a in self.assets.values() if a.group == group])
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return len(self.assets)
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@field_validator('assets')
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@classmethod
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def check_non_empty(cls, v):
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"""至少配置一个标的"""
|
||||
if not v:
|
||||
import warnings
|
||||
warnings.warn("资产池为空")
|
||||
return v
|
||||
|
||||
|
||||
# ============================================================
|
||||
# 因子配置 Schema
|
||||
# ============================================================
|
||||
|
||||
class FactorConfig(BaseModel):
|
||||
"""因子配置"""
|
||||
type: FactorType = Field(default=FactorType.WEIGHTED_MOMENTUM, description="因子类型")
|
||||
n_days: int = Field(default=25, ge=5, le=250, description="动量窗口期（天数）")
|
||||
|
||||
# 动态周期参数
|
||||
auto_day: bool = Field(default=False, description="是否启用动态周期")
|
||||
min_days: int = Field(default=20, ge=5, le=100, description="最小周期")
|
||||
max_days: int = Field(default=60, ge=20, le=250, description="最大周期")
|
||||
|
||||
|
||||
# ============================================================
|
||||
# 阈值配置 Schema
|
||||
# ============================================================
|
||||
|
||||
class DynamicThresholdConfig(BaseModel):
|
||||
"""动态阈值配置"""
|
||||
reference: str = Field(..., description="参考标的代码")
|
||||
ratio: float = Field(default=1.0, gt=0, description="倍数")
|
||||
fallback_enabled: bool = Field(default=True, description="参考不可用时是否回退")
|
||||
fallback_value: float = Field(default=0.0, description="回退值")
|
||||
|
||||
|
||||
class ThresholdConfig(BaseModel):
|
||||
"""阈值配置（统一 V2/V3）"""
|
||||
mode: ThresholdMode = Field(default=ThresholdMode.DYNAMIC, description="阈值模式")
|
||||
fixed_value: float = Field(default=0.0, description="固定阈值（mode=fixed时使用）")
|
||||
dynamic: Optional[DynamicThresholdConfig] = Field(None, description="动态阈值（mode=dynamic时使用）")
|
||||
|
||||
@model_validator(mode='after')
|
||||
def validate_dynamic_config(self):
|
||||
"""验证动态阈值配置"""
|
||||
if self.mode == ThresholdMode.DYNAMIC and self.dynamic is None:
|
||||
raise ValueError("dynamic 模式必须配置 dynamic 字段")
|
||||
return self
|
||||
|
||||
|
||||
# ============================================================
|
||||
# 轮动配置 Schema
|
||||
# ============================================================
|
||||
|
||||
class GroupConfig(BaseModel):
|
||||
"""策略分组配置（用于分散化选股）"""
|
||||
group: str = Field(..., description="策略分组名称")
|
||||
select_num: int = Field(default=1, ge=1, le=10, description="该分组选股数量")
|
||||
|
||||
|
||||
class RotationConfig(BaseModel):
|
||||
"""
|
||||
轮动配置
|
||||
|
||||
支持两种选股模式：
|
||||
1. 全局选股：diversified=false，直接选 Top-N
|
||||
2. 分散化选股：diversified=true，按策略分组选股
|
||||
"""
|
||||
select_num: int = Field(default=3, ge=1, le=20, description="选股数量（全局模式）")
|
||||
diversified: bool = Field(default=False, description="是否分散化选股")
|
||||
|
||||
# 分散化配置（可选）
|
||||
diversification_groups: Optional[List[GroupConfig]] = Field(
|
||||
None,
|
||||
description="分散化分组配置（diversified=true时使用）"
|
||||
)
|
||||
|
||||
threshold: ThresholdConfig = Field(
|
||||
default_factory=ThresholdConfig,
|
||||
description="动量阈值"
|
||||
)
|
||||
|
||||
|
||||
# ============================================================
|
||||
# 调仓配置 Schema
|
||||
# ============================================================
|
||||
|
||||
class RebalanceConfig(BaseModel):
|
||||
"""调仓配置"""
|
||||
min_hold_days: int = Field(default=1, ge=1, le=30, description="最低持有天数")
|
||||
score_threshold: float = Field(default=0.0, ge=0, le=0.5, description="调仓得分阈值（%）")
|
||||
trade_cost: float = Field(default=0.001, ge=0, le=0.01, description="单次换仓成本")
|
||||
|
||||
|
||||
# ============================================================
|
||||
# 溢价控制 Schema
|
||||
# ============================================================
|
||||
|
||||
class MarketPremiumOverride(BaseModel):
|
||||
"""市场溢价覆盖配置"""
|
||||
enabled: bool = Field(default=True, description="是否启用")
|
||||
threshold: float = Field(default=0.10, ge=0, le=1.0, description="溢价阈值")
|
||||
|
||||
|
||||
class PremiumControlConfig(BaseModel):
|
||||
"""溢价控制配置"""
|
||||
enabled: bool = Field(default=True, description="是否启用溢价控制")
|
||||
default_threshold: float = Field(default=0.10, ge=0, le=1.0, description="默认溢价阈值")
|
||||
mode: PremiumMode = Field(default=PremiumMode.FILTER, description="控制模式")
|
||||
penalty_factor: float = Field(default=0.5, ge=0, le=1.0, description="降权惩罚系数")
|
||||
|
||||
# 按市场覆盖
|
||||
market_overrides: Dict[str, MarketPremiumOverride] = Field(
|
||||
default_factory=dict,
|
||||
description="按市场覆盖配置"
|
||||
)
|
||||
|
||||
|
||||
# ============================================================
|
||||
# 数据源配置 Schema
|
||||
# ============================================================
|
||||
|
||||
class DataSourceConfig(BaseModel):
|
||||
"""单个数据源配置"""
|
||||
type: DataSourceType = Field(..., description="数据源类型")
|
||||
enabled: bool = Field(default=True, description="是否启用")
|
||||
timeout: int = Field(default=120, ge=10, le=600, description="超时时间（秒）")
|
||||
|
||||
# Flask API 特定配置
|
||||
url: Optional[str] = Field(None, description="API地址（flask_api使用）")
|
||||
|
||||
# Tushare 特定配置
|
||||
token: Optional[str] = Field(None, description="Tushare Token（tushare使用）")
|
||||
|
||||
|
||||
class DataConfig(BaseModel):
|
||||
"""数据配置"""
|
||||
sources: List[DataSourceConfig] = Field(..., description="数据源列表（按优先级排序）")
|
||||
use_cache: bool = Field(default=True, description="是否使用本地缓存")
|
||||
cache_dir: str = Field(default="data_cache", description="缓存目录")
|
||||
|
||||
@field_validator('sources')
|
||||
@classmethod
|
||||
def check_at_least_one(cls, v):
|
||||
"""至少配置一个数据源"""
|
||||
if not v:
|
||||
raise ValueError("必须配置至少一个数据源")
|
||||
return v
|
||||
|
||||
|
||||
# ============================================================
|
||||
# 基准配置 Schema
|
||||
# ============================================================
|
||||
|
||||
class BenchmarkConfig(BaseModel):
|
||||
"""基准配置"""
|
||||
code: str = Field(..., description="基准代码")
|
||||
name: str = Field(..., description="基准名称")
|
||||
|
||||
|
||||
# ============================================================
|
||||
# 回测配置 Schema
|
||||
# ============================================================
|
||||
|
||||
class BacktestConfig(BaseModel):
|
||||
"""回测配置"""
|
||||
start_date: str = Field(..., description="回测起始日期（YYYY-MM-DD）")
|
||||
end_date: Optional[str] = Field(None, description="回测结束日期（None表示至今）")
|
||||
|
||||
|
||||
# ============================================================
|
||||
# 元数据 Schema
|
||||
# ============================================================
|
||||
|
||||
class MetadataConfig(BaseModel):
|
||||
"""配置元数据"""
|
||||
version: str = Field(default="1.0.0", description="配置版本")
|
||||
strategy: str = Field(default="rotation", description="策略名称")
|
||||
description: str = Field(default="", description="配置描述")
|
||||
last_updated: Optional[str] = Field(None, description="最后更新日期")
|
||||
|
||||
|
||||
# ============================================================
|
||||
# 完整策略配置 Schema
|
||||
# ============================================================
|
||||
|
||||
class RotationStrategyConfig(BaseModel):
|
||||
"""
|
||||
ETF轮动策略完整配置
|
||||
|
||||
使用示例:
|
||||
from framework_v2.config.schemas import RotationStrategyConfig
|
||||
import yaml
|
||||
|
||||
with open('config/rotation.yaml') as f:
|
||||
config_dict = yaml.safe_load(f)
|
||||
|
||||
config = RotationStrategyConfig(**config_dict)
|
||||
"""
|
||||
metadata: MetadataConfig = Field(default_factory=MetadataConfig, description="元数据")
|
||||
|
||||
# 资产池
|
||||
asset_pools: AssetPool = Field(..., description="资产池配置")
|
||||
|
||||
# 基准
|
||||
benchmark: BenchmarkConfig = Field(..., description="基准配置")
|
||||
|
||||
# 回测
|
||||
backtest: BacktestConfig = Field(..., description="回测配置")
|
||||
|
||||
# 因子
|
||||
factor: FactorConfig = Field(default_factory=FactorConfig, description="因子配置")
|
||||
|
||||
# 轮动
|
||||
rotation: RotationConfig = Field(default_factory=RotationConfig, description="轮动配置")
|
||||
|
||||
# 调仓
|
||||
rebalance: RebalanceConfig = Field(default_factory=RebalanceConfig, description="调仓配置")
|
||||
|
||||
# 溢价控制
|
||||
premium_control: PremiumControlConfig = Field(default_factory=PremiumControlConfig, description="溢价控制")
|
||||
|
||||
# 数据
|
||||
data: DataConfig = Field(..., description="数据配置")
|
||||
|
||||
|
||||
# ============================================================
|
||||
# 通用策略配置 Schema（V2 架构）
|
||||
# ============================================================
|
||||
|
||||
class StrategyConfig(BaseModel):
|
||||
"""
|
||||
通用策略配置（支持所有策略类型）
|
||||
|
||||
使用示例:
|
||||
from framework_v2.config import load_config
|
||||
config = load_config('rotation.yaml')
|
||||
"""
|
||||
metadata: MetadataConfig = Field(default_factory=MetadataConfig, description="元数据")
|
||||
|
||||
# 资产池
|
||||
asset_pools: AssetPool = Field(..., description="资产池配置")
|
||||
|
||||
# 基准
|
||||
benchmark: BenchmarkConfig = Field(..., description="基准配置")
|
||||
|
||||
# 回测
|
||||
backtest: BacktestConfig = Field(..., description="回测配置")
|
||||
|
||||
# 因子
|
||||
factor: FactorConfig = Field(default_factory=FactorConfig, description="因子配置")
|
||||
|
||||
# 轮动（可选）
|
||||
rotation: Optional[RotationConfig] = Field(None, description="轮动配置")
|
||||
|
||||
# 调仓
|
||||
rebalance: RebalanceConfig = Field(default_factory=RebalanceConfig, description="调仓配置")
|
||||
|
||||
# 溢价控制
|
||||
premium_control: PremiumControlConfig = Field(default_factory=PremiumControlConfig, description="溢价控制")
|
||||
|
||||
# 数据
|
||||
data: DataConfig = Field(..., description="数据配置")
|
||||
Reference in New Issue
Block a user